1. Report Industry Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoints - Convertible bond ETFs are a type of hybrid ETF product that combines the stability of fixed - income products with the growth potential of equity assets. They are highly flexible and efficient in terms of capital utilization, attracting continuous inflows of large - scale institutional funds [2]. - The convertible bond ETF market has witnessed rapid growth in scale and high trading enthusiasm, with both soaring returns and significant drawdowns. It has a high allocation value as it can balance risks and returns in investment portfolios [3][4]. - Given the current supply - demand imbalance, institutional recognition, and policy support, convertible bond ETFs have the potential for further expansion and product iteration [6]. 3. Summary by Directory 3.1 Convertible Bond ETFs: Hybrid Asset Tools with Bond - like Defense and Stock - like Growth - **1.1 T + 0 and Dual - Market Mechanisms: High Flexibility and Liquidity** - Convertible bond ETFs adopt a trading - open structure, allowing investors to trade on the secondary market like stocks and conduct large - scale subscriptions and redemptions on the primary market. They have no fixed term, enabling long - term holding. The T + 0 trading mechanism enhances capital efficiency, and the "physical + cash" redemption mechanism reduces costs and provides arbitrage opportunities. Market makers ensure on - exchange liquidity [14][16]. - **1.2 Different Portfolio Construction Styles of Two Convertible Bond ETFs** - Bosera focuses on balanced and diversified portfolios, with the top ten heavy - position bonds having relatively balanced proportions. Haitong concentrates on top - tier bonds, with the top two heavy - position bonds accounting for over 27%. Bosera has better risk - resistance in volatile markets, while Haitong may achieve higher returns in unilateral up - trends [18]. - **1.3 Regulatory Red Lines and Transparent Disclosure** - Regulators have set multiple red lines in investment ratios, concentration limits, leverage control, and information disclosure to prevent risks and enhance transparency. For example, at least 80% of the fund's assets must be invested in component bonds and alternative bonds of the target index. Fund managers are required to disclose net asset values, portfolios, subscription and redemption lists, and temporary events frequently [22]. 3.2 The Convertible Bond ETF Market is Booming, with Scale Reaching a Record High - **2.1 Rapid Growth in Market Scale** - As of July 25, 2025, the convertible bond ETF market scale reached 5.1171 billion yuan, accounting for 7.7% of the convertible bond market. It grew 5.72 times in 2024 and increased by 29.54% from June 20 to July 25, 2025 [3]. - **2.2 Active Trading** - In the past month, the turnover rate of the two convertible bond ETFs exceeded 14%. Bosera's convertible bond ETF had a turnover rate of 22.89% on July 4, and Haitong's reached 20.80% on June 24. The trading volume reached a peak of 9.448 billion yuan on July 4 and has remained at a high level since September 2024. The market participants are becoming more diversified [30][32]. - **2.3 Soaring Returns and Fluctuating Drawdowns** - From 2024 - 2025, convertible bond ETFs showed significant returns, with cumulative returns of products like Bosera's exceeding 30%. However, in 2025, the drawdowns increased, with Bosera's maximum drawdown at about - 10% and Haitong's at about - 8%. Bosera had a relatively strong recovery ability after the drawdown, taking 79 days to recover [35]. 3.3 Low Fees, High Liquidity, Transparent Portfolio, and Balanced Offense - Defense: Advantages of Convertible Bond ETFs - **3.1 Characteristics of Convertible Bond ETFs** - Convertible bond ETFs are flexible in trading, closely track the index, have transparent positions, and low fees. They can be traded on the exchange, and the T + 0 system improves capital efficiency. The ETF managers disclose the full position list and weight information daily, and the annual management fee is about 0.2% [44][46]. - **3.2 Allocation Value of Convertible Bond ETFs** - Convertible bond ETFs can balance risks and returns in investment portfolios, enhancing returns and adapting to changing market environments. They can provide equity - like returns in rising stock markets and bond - like protection in falling markets [5]. 3.4 Possibility of New Convertible Bond ETF Issuance - **4.1 Increasing Demand for Allocation** - Leading products like Bosera's have received large - scale net inflows during market fluctuations, indicating strong institutional demand for bond - stock hybrid tools. The main holders are bank wealth management, insurance funds, and pensions [6]. - **4.2 Significant Incremental Space in the Public Fund Industry** - Only 18 out of 52 fund companies that have launched ETF businesses have issued bond ETFs, leaving a large number of leading companies on the sidelines. There is great potential for new product launches [55]. - **4.3 Regulatory Policies Promote Product Innovation** - Regulatory documents such as the "Action Plan for Promoting the High - Quality Development of Index - based Investment in the Capital Market" encourage the innovation of bond ETF supply and coordinate with policies for long - term capital entry into the market [6].